Financial models in production [electronic resource] / Othmane Kettani, Adil Reghai.
This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and con...
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cham :
Springer,
2020.
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| Series: | SpringerBriefs in finance.
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| Subjects: |
MARC
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| 100 | 1 | |a Kettani, Othmane. | |
| 245 | 1 | 0 | |a Financial models in production |h [electronic resource] / |c Othmane Kettani, Adil Reghai. |
| 260 | |a Cham : |b Springer, |c 2020. | ||
| 300 | |a 1 online resource (67 pages) | ||
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| 500 | |a Description based upon print version of record. | ||
| 505 | 0 | |a Intro -- Foreword -- Preface -- Contents -- List of Figures -- 1 General Introduction -- 1.1 Role of the Quants -- 1.2 PnL Explanation -- 1.3 Exploring Models -- References -- 2 Black & Scholes (BS) Model -- 2.1 Closed Form Formula Revisited -- 2.2 Smile Representation -- 2.3 Summary of the Chapter: Key Messages -- References -- 3 Local Volatility Model -- 3.1 Some Stylized Facts About of the Local Volatility -- 3.2 Other Properties of the Local Volatility -- 3.2.1 The Skew Stickiness Ratio (SSR) -- 3.2.2 The Local Volatility Forward Skew -- 3.2.3 The Local Volatility SSR in the Future. | |
| 505 | 8 | |a 3.3 Local Volatility Model: A Pricing Example -- 3.4 Local Volatility PnL Explanation -- 3.4.1 Derivation of the P&L Equation -- 3.4.2 Another Simpler Derivation -- 3.4.3 PnL Explanation Factors -- 3.4.4 How Do We Test the Hedging Hypothesis in Practice? -- 3.5 The Standard Theta -- 3.5.1 Decomposition of the Standard Theta: The Exotic Theta -- 3.5.2 Decomposition of the Standard Theta: The Vanilla Theta -- 3.6 Typical Portfolio -- 3.7 Generalize This Approach to Multi Assets and Quanto Effect -- 3.8 Summary of the Chapter: Key Messages -- References -- 4 Market Model P&L Explain -- 4.1 Theory. | |
| 505 | 8 | |a 4.1.1 Derivation of the Adjustment -- 4.1.2 Computation of the Second Order Derivative -- 4.2 Focusing on the Vanna -- 4.2.1 Covariances Spread Computation -- 4.2.2 Vanna Computation -- 4.3 Analysis of a Real Case Example: Case of the Autocall -- 4.3.1 The Payoff -- 4.3.2 Vanna Adjustment for the European PDI Up&Out -- 4.3.3 Vanna Adjustment for the Coupons -- 4.4 Summary of the Chapter: Key Messages -- References -- Annex: Derivation of the qKT Expression in the Case of a PDI UO -- Bibliography -- Index. | |
| 504 | |a Includes bibliographical references and index. | ||
| 520 | |a This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and control. Addressing some of the most important and cutting-edge issues, it describes how to build the necessary models in order to risk manage all the costs involved in options fabrication within the world of equity derivatives and hybrids. This is achieved by extending classical models and improving them in order to account for complex features. The book is primarily aimed at market practitioners (traders, risk managers, risk control, top managers), as well as Masters students in Quantitative/Mathematical Finance. It will also be useful for instructors hoping to enrich their courses with practical examples. The prerequisites are basic stochastic calculus and a general knowledge of financial markets and financial derivatives. | ||
| 650 | 0 | |a Options (Finance) |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008108684. | |
| 650 | 0 | |a Probabilities. |0 http://id.loc.gov/authorities/subjects/sh85107090. | |
| 650 | 0 | |a Bank marketing. |0 http://id.loc.gov/authorities/subjects/sh85011579. | |
| 650 | 0 | |a Engineering mathematics. |0 http://id.loc.gov/authorities/subjects/sh85043235. | |
| 650 | 0 | |a Computer simulation. |0 http://id.loc.gov/authorities/subjects/sh85029533. | |
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| 650 | 7 | |a Computer simulation. |2 fast |0 (OCoLC)fst00872518. | |
| 650 | 7 | |a Engineering mathematics. |2 fast |0 (OCoLC)fst00910601. | |
| 650 | 7 | |a Probabilities. |2 fast |0 (OCoLC)fst01077737. | |
| 700 | 1 | |a Reghai, Adil. |0 http://id.loc.gov/authorities/names/n2014065920. | |
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